Job Application - Quantitative Analyst

Interview Sample Question

The sample question for Interview a job in Binary.com. Here I try to write a web application which is automatically gather data, calculate, forecast, place orders, settlement and also P&L report from tip-to-toe. Here I also conducting few research tasks to test the efficiency of some statistical models, and also refer to a Master Degree level quantitave assignment as my studies. Hope that I can be shortlisted to be a member of Binary.com.

Question I

I use daily OHLCV USDJPY data (from 2014-01-01 to 2017-01-20) and application of some models to forecast the highest and lowest price :

  • Auto Arima models
  • Exponential Time Series
  • Univariate Garch models
  • Exponential Weighted Moving Average
  • Monte Carlo Markov Chain
  • Bayesian Time Series
  • Midas

Kindly refer to Binary.com Interview Q1 (Old link or Alternate link or Alternate link 2 (Added MSE comparison)) for more information.

Well, dataset for below papers daily OHLCV of 7 currencies from 2013-01-01 to 2017-08-31:

  • AUDUSD
  • EURUSD
  • GBPUSD
  • USDCAD
  • USDCHF
  • USDCNY
  • USDJPY

  1. Here I wrote another extention page for Q1 which is analyse the multiple currencies and also models from minutes to daily. You are feel free to browse over Binary.com Interview Q1 (Extention) or (Alternate link).

  2. Here I also find the optimal arma order for GARCH models as you can refer to GARCH模型中的ARIMA(p,d,q)参数最优化.

  3. You can also refer to binary.com Interview Question I - Comparison of Univariate GARCH Models which compares the prediction accuracy of 14 GARCH models (not completed) and 9 models (mostly completed from 2013-01-01 to 2017-08-30).

  • sGARCH
  • fGARCH.GARCH
  • fGARCH.TGARCH
  • fGARCH.NGARCH
  • fGARCH.NAGARCH
  • fGARCH.GJRGARCH
  • gjrGARCH
  • iGARCH
  • csGARCH

Besides, I wrote a shinyApp which display the real-time price through API. Kindly refer to Q1App where Q1App2 is another app for financial value betting.

Blooper…

Initially, I wrote a shiny app (as showing in below gif file) but it is heavily budden for loading. Kindly browse over ShinyApp which contain the questions and answers of 3 questions. For the staking model, I simply forecast the highest and lowest price, and then :

  • Kelly criterion and using highest or lowest price for closing transaction, otherwise using closing price if the forecasted lowest/highest price is not occur.
  • Placed $100 an each of the forecasted variance value and do the settlement based on the real variance value.

Secondly, I wrote another app testRealTimeTransc trial version to test the real time trading, and a completed version is Q1App2.

Due to the paper Binary.com Interview Q1 - Tick-Data-HiLo For Daily Trading (Blooper) simulated the data and then only noticed I not yet updated the new function, then I wrote GARCH模型中的ARIMA(p,d,q)参数最优化 to compare the accuracy. However my later paper simulated dataset doesn’t save the \(fit\) in order to retrieve the \(\sigma^2\) and VaR values for stop-loss pips when I got the idea. Here I put it as blooper and start binary-Q1 Multivariate GARCH Models and later on will write another FOREX Day Trade Simulation which will simulate all tick-data but not only HiLo data.

Shiny Application

  • shinyApp : shiny::runGitHub('englianhu/binary.com-interview-question') - Application which compare the accuracy of multiple lasso, ridge and elastic net models (blooper).
  • Q1App : shiny::runGitHub('englianhu/binary.com-interview-question', subdir = 'Q1') - the application gather, calculate and forecast price. Once the user select currency and the forecast day, the system will auto calculate and plot the graph.
  • testRealTimeTransc : shiny::runGitHub('englianhu/binary.com-interview-question', subdir = 'testRealTimeTransc') - real time trading system which auto gather, calculate the forecast price, and also place orders, as well as settlement and plot P&L everyday.
  • Q1App2 : shiny::runGitHub('englianhu/binary.com-interview-question', subdir = 'Q1App2') - The application contain the Banker and Punter section which applied aboved statistical modelling.

Question II

For question 2, I simply write an app, kindly use Q2App. The bivariate or trivariate poisson model might useful for analyse the probability of fund-in and fund-out by investors in order to manage whole investment pool. Unfortunately there has no such dataset avaiable for fund pool management modelling.

Shiny Application

  • Q2 : shiny::runGitHub('englianhu/binary.com-interview-question', subdir = 'Q2') - An application which applied queuing theory.

Question III

For question 3, due to the question doesn’t states we only bet on the matches which overcame a certain edge, therefore I just simply list the scenario. Kindly refer to Betting strategy for more informtion.

Reference

Question III

  1. Data APIs/feeds available as packages in R
  2. Application of Kelly Criterion model in Sportsbook Investment

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